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I don't think when you select Exact Match you're changing the results shown. I think it's for when you're selecting and transferring phrases to your adwords campaign? I might be wrong, but that's how I read it. I think all the numbers shown are for exact matches (as the little tooltip seems to say).

Maybe the tool is correct. There will be people in Rome searching for a company in Naples..? After all, that's what the tool is trying to show, terms related to a building business being searched for in Rome.